N-Q 1 g07429nvq.txt FORM N-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-3105 Oppenheimer Capital Appreciation Fund (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 Date of fiscal year end: August 31 Date of reporting period: 11/30/2010 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Shares Value ------------ --------------- COMMON STOCKS--99.1% CONSUMER DISCRETIONARY--12.3% HOTELS, RESTAURANTS & LEISURE--1.7% McDonald's Corp. 1,193,190 $ 93,426,777 INTERNET & CATALOG RETAIL--1.5% Amazon.com, Inc.(1) 466,802 81,877,071 MEDIA--2.0% McGraw-Hill Cos., Inc. (The) 1,194,010 41,181,405 Walt Disney Co. (The) 1,958,780 71,515,058 --------------- 112,696,463 MULTILINE RETAIL--0.3% Target Corp. 275,160 15,667,610 SPECIALTY RETAIL--2.8% Bed Bath & Beyond, Inc.(1) 1,263,470 55,264,178 O'Reilly Automotive, Inc.(1) 613,990 36,949,918 TJX Cos., Inc. (The) 1,312,520 59,864,037 --------------- 152,078,133 TEXTILES, APPAREL & LUXURY GOODS--4.0% Coach, Inc. 1,387,510 78,449,815 Nike, Inc., Cl. B 924,210 79,602,207 Polo Ralph Lauren Corp., Cl. A 574,995 62,812,454 --------------- 220,864,476 CONSUMER STAPLES--10.1% BEVERAGES--2.4% PepsiCo, Inc. 2,054,650 132,792,030 FOOD & STAPLES RETAILING--1.7% Costco Wholesale Corp. 820,600 55,480,766 Wal-Mart Stores, Inc. 699,220 37,820,810 --------------- 93,301,576 FOOD PRODUCTS--4.7% DANONE SA 1,133,004 66,364,835 General Mills, Inc. 1,768,658 62,486,687 Nestle SA 1,420,739 77,219,461 Unilever NV CVA 1,772,058 49,983,541 --------------- 256,054,524 HOUSEHOLD PRODUCTS--1.3% Colgate-Palmolive Co. 952,860 72,941,433 ENERGY--7.6% ENERGY EQUIPMENT & SERVICES--2.9% Halliburton Co. 1,935,370 73,234,401 Schlumberger Ltd. 1,154,366 89,278,666 --------------- 162,513,067 OIL, GAS & CONSUMABLE FUELS--4.7% ConocoPhillips 1,353,128 81,417,712 EOG Resources, Inc. 624,360 55,536,822 Occidental Petroleum Corp. 1,359,272 119,847,012 --------------- 256,801,546
1 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Shares Value ------------ --------------- COMMON STOCKS CONTINUED FINANCIALS--5.8% CAPITAL MARKETS--0.4% Credit Suisse Group AG 638,002 $ 23,545,652 COMMERCIAL BANKS--2.2% U.S. Bancorp 2,638,328 62,739,440 Wells Fargo & Co. 2,175,190 59,186,920 --------------- 121,926,360 DIVERSIFIED FINANCIAL SERVICES--3.2% BM&F BOVESPA SA 6,209,040 47,257,653 CME Group, Inc. 142,300 40,990,938 IntercontinentalExchange, Inc.(1) 349,510 39,389,777 JPMorgan Chase & Co. 1,286,710 48,097,220 --------------- 175,735,588 HEALTH CARE--14.5% BIOTECHNOLOGY--2.5% Amgen, Inc.(1) 1,245,090 65,603,792 Celgene Corp.(1) 1,229,840 73,027,899 --------------- 138,631,691 HEALTH CARE EQUIPMENT & SUPPLIES--2.1% Baxter International, Inc. 1,303,390 63,279,585 Stryker Corp. 1,051,590 52,674,143 --------------- 115,953,728 HEALTH CARE PROVIDERS & SERVICES--2.3% Express Scripts, Inc.(1) 1,157,170 60,276,985 Medco Health Solutions, Inc.(1) 1,118,060 68,559,439 --------------- 128,836,424 LIFE SCIENCES TOOLS & SERVICES--2.3% Mettler-Toledo International, Inc.(1) 272,303 39,532,950 Thermo Fisher Scientific, Inc.(1) 1,668,667 84,868,404 --------------- 124,401,354 PHARMACEUTICALS--5.3% Allergan, Inc. 1,386,984 91,915,430 Bristol-Myers Squibb Co. 2,610,202 65,881,498 Novo Nordisk AS, Cl. B 796,734 78,811,057 Roche Holding AG 396,451 54,432,270 --------------- 291,040,255 INDUSTRIALS--13.7% AEROSPACE & DEFENSE--2.7% Goodrich Corp. 1,039,759 89,180,129 United Technologies Corp. 808,090 60,824,934 --------------- 150,005,063 AIR FREIGHT & LOGISTICS--1.2% United Parcel Service, Inc., Cl. B 924,960 64,867,445 ELECTRICAL EQUIPMENT--2.8% ABB Ltd. 2,883,591 55,881,876
2 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Shares Value ------------ --------------- COMMON STOCKS CONTINUED ELECTRICAL EQUIPMENT CONTINUED Emerson Electric Co. 1,742,596 $ 95,964,762 --------------- 151,846,638 MACHINERY--5.7% Caterpillar, Inc. 947,030 80,118,738 Danaher Corp. 1,457,761 63,048,163 Joy Global, Inc. 1,016,830 77,604,466 Parker-Hannifin Corp. 1,126,277 90,361,204 --------------- 311,132,571 ROAD & RAIL--1.3% Union Pacific Corp. 820,818 73,963,910 INFORMATION TECHNOLOGY--30.4% COMMUNICATIONS EQUIPMENT--7.0% Cisco Systems, Inc.(1) 4,824,552 92,438,416 Juniper Networks, Inc.(1) 2,943,650 100,142,973 QUALCOMM, Inc. 4,167,780 194,802,037 --------------- 387,383,426 COMPUTERS & PERIPHERALS--5.8% Apple, Inc.(1) 909,760 283,071,824 Hewlett-Packard Co. 870,263 36,490,128 --------------- 319,561,952 ELECTRONIC EQUIPMENT & INSTRUMENTS--1.2% Corning, Inc. 3,764,320 66,477,891 INTERNET SOFTWARE & SERVICES--6.2% Akamai Technologies, Inc.(1) 1,383,661 72,213,268 eBay, Inc.(1) 2,476,290 72,134,328 Google, Inc., Cl. A(1) 350,476 194,763,018 --------------- 339,110,614 IT SERVICES--3.9% Cognizant Technology Solutions Corp.(1) 1,032,280 67,077,554 International Business Machines Corp. 424,120 59,996,015 Visa, Inc., Cl. A 1,163,490 85,923,737 --------------- 212,997,306 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.9% Broadcom Corp., Cl. A 2,377,065 105,755,622 SOFTWARE--4.4% Adobe Systems, Inc.(1) 576,410 15,983,849 Intuit, Inc.(1) 764,910 34,336,810 Oracle Corp. 4,876,180 131,851,908 Vmware, Inc., Cl. A(1) 749,433 61,093,778 --------------- 243,266,345 MATERIALS--3.6% CHEMICALS--2.5% Ecolab, Inc. 1,152,222 55,087,734 Praxair, Inc. 904,745 83,281,777 --------------- 138,369,511
3 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Shares Value ------------ --------------- COMMON STOCKS CONTINUED METALS & MINING--1.1% Barrick Gold Corp. 1,169,210 $ 60,389,697 TELECOMMUNICATION SERVICES--1.1% WIRELESS TELECOMMUNICATION SERVICES--1.1% NII Holdings, Inc.(1) 1,536,023 59,536,251 --------------- Total Common Stocks (Cost $4,086,769,632) 5,455,750,000 INVESTMENT COMPANIES--0.9% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%(2, 3) 19,243 19,243 Oppenheimer Institutional Money Market Fund, Cl. E, 0.21%(2, 4) 51,276,663 51,276,663 --------------- Total Investment Companies (Cost $51,295,906) 51,295,906 TOTAL INVESTMENTS, AT VALUE (COST $4,138,065,538) 100.0% 5,507,045,906 Other Assets Net of Liabilities 0.0 567,517 ----------- --------------- Net Assets 100.0% $ 5,507,613,423 =========== ===============
Footnotes to Statement of Investments (1.) Non-income producing security. (2.) Rate shown is the 7-day yield as of November 30, 2010. (3.) Interest rate is less than 0.0005%. (4.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended November 30, 2010, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES AUGUST 31, 2010 ADDITIONS REDUCTIONS NOVEMBER 30, 2010 --------------- ----------- ----------- ----------------- Oppenheimer Institutional Money Market Fund, Cl. E 23,827,122 212,440,538 184,990,997 51,276,663
VALUE INCOME ----------- ------- Oppenheimer Institutional Money Market Fund, Cl. E $51,276,663 $23,090
4 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts as of November 30, 2010 based on valuation input level:
LEVEL 2-- LEVEL 3-- LEVEL 1-- OTHER SIGNIFICANT UNADJUSTED QUOTED SIGNIFICANT UNOBSERVABLE PRICES OBSERVABLE INPUTS INPUTS VALUE ----------------- ----------------- ------------ -------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 676,610,530 $-- $-- $ 676,610,530 Consumer Staples 555,089,563 -- -- 555,089,563 Energy 419,314,613 -- -- 419,314,613 Financials 321,207,600 -- -- 321,207,600 Health Care 798,863,452 -- -- 798,863,452 Industrials 751,815,627 -- -- 751,815,627 Information Technology 1,674,553,156 -- -- 1,674,553,156 Materials 198,759,208 -- -- 198,759,208 Telecommunication Services 59,536,251 -- -- 59,536,251 Investment Companies 51,295,906 -- -- 51,295,906 -------------- --- --- -------------- Total Assets $5,507,045,906 $-- $-- $5,507,045,906 -------------- --- --- --------------
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION METHODOLOGIES, IF ANY, DURING THE REPORTING PERIOD. NOTES TO STATEMENT OF INVESTMENTS SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability, are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. 5 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies of the Fund during the period. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. 6 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. MARKET RISK FACTORS. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. CREDIT RISK. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. 7 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into foreign currency exchange contracts ("forward contracts") for the purchase or sale of a foreign currency at a negotiated rate at a future date. Forward contracts are reported on a schedule following the Statement of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the portfolio. During the period ended November 30, 2010, the Fund had average contract amounts on forward foreign currency contracts to sell of $799,305. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. 8 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) As of November 30, 2010, the Fund had no outstanding forward contracts. FEDERAL TAXES. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of November 30, 2010 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses. Federal tax cost of securities $4,172,175,396 ============== Gross unrealized appreciation $1,394,158,271 Gross unrealized depreciation (59,287,761) -------------- Net unrealized appreciation $1,334,870,510 ==============
9 | Oppenheimer Capital Appreciation Fund ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 11/30/2010, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in the registrant's internal controls over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Exhibits attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Capital Appreciation Fund By: /s/ William F. Glavin -------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 01/11/2011 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ William F. Glavin -------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 01/11/2011 By: /s/ Brian W. Wixted -------------------------------- Brian W. Wixted Principal Financial Officer Date: 01/11/2011